Images not displaying correctly with transparent objects in Blender 2.80
This looks like a bug related to the "sorting problem".  It appears as if image empties are being alpha blended to the color buffer after all regular Alpha Blend objects, so they always appear on top.

Two workarounds:


You can switch the blending mode from "Alpha Blend" to "Alpha Hashed".  This will give you a really noisy blend, but it gets the transparency right.
You can enable the "Import-Export: Import Images as Planes" add-on and add your image using "Add -> Image -> Images as Planes".  This adds the image as a regular plane mesh, and it seems to behave correctly even with "Alpha Blend".


Given that image empties can't be rendered anyway, as far as I know, "Images as Planes" is probably the best solution if you actually want the image to be a part of your scene.